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  • Search: subject:"Reflected stochastic differential equation"
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Subject
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Analysis 1 Brownian Local Time 1 Cashflow 1 Credit Rating 1 Credit rating 1 Credit risk 1 Default 1 Kreditrisiko 1 Kreditwürdigkeit 1 Mathematical analysis 1 Reflected Stochastic Differential Equation 1 Reflected stochastic differential equation 1 Stochastic process 1 Stochastischer Prozess 1 Stratonovich stochastic differential equation 1 Theorie 1 Theory 1 Undefaultable 1 Wong–Zakai type approximation 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Sonubi, Adeyemi Adewale 1 Słomiński, Leszek 1
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Journal of mathematical finance 1 Stochastic Processes and their Applications 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On reflected Stratonovich stochastic differential equations
Słomiński, Leszek - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 759-779
We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we generalize known results on the Wong–Zakai type...
Persistent link: https://www.econbiz.de/10011194133
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Credit rating modelled with reflected stochastic differential equations
Sonubi, Adeyemi Adewale - In: Journal of mathematical finance 4 (2014) 5, pp. 333-337
Persistent link: https://www.econbiz.de/10011312408
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